- Tytuł:
-
Strukturalne i zredukowane modele pomiaru ryzyka kredytowego wykorzystywane w praktyce bankowej
Structural and reduced credit risk measurement models used in banking practice - Autorzy:
- Noetzel, P.
- Powiązania:
- https://bibliotekanauki.pl/articles/399126.pdf
- Data publikacji:
- 2011
- Wydawca:
- Politechnika Białostocka. Oficyna Wydawnicza Politechniki Białostockiej
- Tematy:
-
modele strukturalne
KMV
CreditMetrics
ryzyko kredytowe
portfel kredytowy
structural models
credit risk
Credit Portfolio View - Opis:
- This article compares four popular models of credit risk measurement in terms of the scope of information used by the models, the characteristics of the risk as subject of the modeling and their use in the management of credit portfolios. These models can be assigned to one of two classes: structural and reduced form models. Structural models base on the assumption that the modeling person has full information about the assets and liabilities of the company and based on this knowledge is able to determine the moment of a credit event. Reduced form models use only the information base that is available on the market. This gives them an advantage in practical risk evaluation. The article is a modified part of the author's doctoral dissertation titled "Use of credit derivatives in managing the debt portfolio of the bank".
- Źródło:
-
Ekonomia i Zarządzanie; 2011, 3, 1; 36-47
2080-9646 - Pojawia się w:
- Ekonomia i Zarządzanie
- Dostawca treści:
- Biblioteka Nauki
Artykuł